Corpus ID: 231986220

The relations of Choquet Integral and G-Expectation

@inproceedings{Kim2021TheRO,
  title={The relations of Choquet Integral and G-Expectation},
  author={J. H. Kim},
  year={2021}
}
In incomplete financial markets, there exists a set of equivalent martingale measures (or risk-neutral probabilities) in an arbitrage-free pricing of the contingent claims. Minimax expectation is closely related to the g-expectation which is the solution of a certain stochastic differential equation. We show that Choquet expectation and minimax expectation are equal in pricing European type options, whose payoff is a monotone function of the terminal stock price ST . 

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